Burnecki, Krzysztof and Pazdan-Siudeja, Liliana (2008): Equity-linked insurances and guaranteed annuity options.
Download (215Kb) | Preview
We consider here term and whole-life cases of the equity-linked life insurance(ELLI), and the guaranteed annuity option (GAO). We present a financial instrument which is a combination of ELLI and GAO in a stochastic interest rate framework.
|Item Type:||MPRA Paper|
|Original Title:||Equity-linked insurances and guaranteed annuity options|
|Keywords:||equity-linked life insurance; guaranteed annuity option; geometric Brownian motion; Ornstein-Uhlenbeck process; Monte Carlo simulations|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
|Depositing User:||Krzysztof Burnecki|
|Date Deposited:||26. Mar 2010 18:01|
|Last Modified:||13. Feb 2013 13:57|
K.K. Aase and S.A. Persson, Pricing of Unit-Linked Life Insurance Policies, Scand. Act. J. 1 (1994), 26-52.
A.R. Bacinello and F. Ortu Pricing equity-linked life insurance with endogenous minimum guarantees, Insurance Math. Econom. 12 (1993), 245-257.
A.R. Bacinello, F. Ortu Pricing guaranteed securities-linked life insurance under interest-rate risk, in: Actuarial Approach For Financial Risks, 3rd AFIR International Colloquium 4 (1993), 35-55.
A.R. Bacinello and F. Ortu Single and periodic premiums for guaranteed equity-linked life insurance under interest-rate risk: the lognormal + Vasicek case, in: Financial Modelling: Recent Research, L. Peccati and M. Viren, eds., Heidelberg (1994), 1-25.
A.R. Bacinello and S.A. Persson Design and Pricing of Equity-Linked Life Insurance under Stochastic Interest Rates, Journal of Risk Finance 3 (2002), 6-21.
L. Ballotta and S. Haberman, Valuation of guaranteed annuity conversion options, Insurance Math. Econom. 33(1) (2003), 87-108.
L. Ballotta and S. Haberman, The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case, Insurance Math. Econom. 38(1) (2006), 195-214.
J.T.S. Bezooyen, C.J.E. Exley and S.J.B. Mehta (1998): Valuing and Hedging Guaranteed Annuity Options, presented to Institute and Facility of Actuaries Investment Conference, University of Cambridge, September 1998.
T. Bjork, Arbitrage Theory in Continuous Time, Oxford University Press, Oxford 2004.
M.J. Brennan and E.S. Schwartz, The pricing of equity-linked life insurance policies with an asset value guarantee, Journal of Financial Economics 3 (1976), 195-231.
M.J. Brennan and E.S. Schwartz Pricing and investment strategies for equity-linked life insurance policies with an asset value guarantee, Journal of Financial Economics 3 (1979), 195-231.
M.J. Brennan and E.S. Schwartz, Pricing and investment strategies for equity-linked life insurance, Huebner Foundation Monograph , University of Pennsylvania, Pennsylvania 1979.
M. Hardy, Investment Guarantees: Modeling and Risk Management for Equity-linked Life Insurance, Wiley, Hoboken 2003.
P.E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, Berlin 1992.
A. Kurz, Pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee and Periodic Premiums, AFIR Colloquium Nurnberg, Germany October 1-3 1996.
L. Pazdan-Siudeja, Mathematical models of life insurance contracts tied to the value of financial instruments under stochastic interest rates, MSc dissertation, Wroclaw University of Technology, 2004.
A. Nielsen and K. Sandmann, Equity-linked life insurance: A model with stochastic interest rates, Insurance Math. Econom. 16 (1995), 225-253.
A. Nielsen and K. Sandmann, Uniqueness of the fair premium for equity-linked life insurance contracts, Geneva Papers on Risk and Insurance Theory 21 (1996), 65-102.
S.A. Persson, Valuation of a multistate life insurance contract with random benefit, Scandinavian Journal of Management 9(S), 73-86.